Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0247 |
| Annualized Std Dev | 0.0942 |
| Annualized Sharpe (Rf=0%) | 0.2621 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3382.0000 |
| NAs | 1.0000 |
| Minimum | -0.0421 |
| Quartile 1 | -0.0034 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0035 |
| Maximum | 0.0462 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0000 |
| Stdev | 0.0059 |
| Skewness | 0.0823 |
| Kurtosis | 4.4216 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0042 |
| Gain Deviation | 0.0040 |
| Loss Deviation | 0.0039 |
| Downside Deviation (MAR=210%) | 0.0100 |
| Downside Deviation (Rf=0%) | 0.0041 |
| Downside Deviation (0%) | 0.0041 |
| Maximum Drawdown | 0.1786 |
| Historical VaR (95%) | -0.0089 |
| Historical ES (95%) | -0.0128 |
| Modified VaR (95%) | -0.0090 |
| Modified ES (95%) | -0.0133 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-12-31 | 2009-06-10 | 2011-09-12 | -0.1786 | 680 | 111 | 569 |
| 2016-07-11 | 2018-11-02 | 2019-08-14 | -0.1508 | 780 | 586 | 194 |
| 2012-07-26 | 2013-12-31 | 2015-01-15 | -0.1407 | 622 | 360 | 262 |
| 2020-08-05 | 2021-03-18 | NA | -0.1340 | 158 | 156 | NA |
| 2020-03-10 | 2020-03-18 | 2020-07-31 | -0.1016 | 101 | 7 | 94 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.6 | -0.5 | 0.8 | 0.9 |
| 2008 | 0.3 | 1.2 | -1.2 | -0.1 | 0.7 | 0.2 | -0.1 | -0.6 | 0.8 | -0.2 | 1.9 | -2.4 | 0.5 |
| 2009 | -0.2 | -0.2 | 0.8 | -0.5 | -2.2 | 0.3 | 1.2 | 0.4 | 1 | 1.2 | -0.6 | -0.7 | 0.4 |
| 2010 | -0.2 | 0.1 | -0.3 | 0.8 | 0.4 | 0 | 1 | -1.4 | -0.1 | -0.2 | -1.4 | 1 | -0.3 |
| 2011 | -0.4 | 0.2 | 0.4 | 0.1 | 0.8 | -0.2 | 0.6 | 1.2 | 0.8 | 1.9 | -0.3 | 0.2 | 5.7 |
| 2012 | -0.7 | -0.6 | -0.8 | -0.4 | 1.4 | -0.8 | -0.4 | 0.8 | 0.2 | -0.3 | -0.1 | -0.9 | -2.5 |
| 2013 | -0.7 | 0.3 | 0.4 | 0.6 | -0.4 | 0.3 | -1.3 | 0 | -0.2 | -0.7 | -0.1 | -0.5 | -2.3 |
| 2014 | 0.3 | 0 | -0.3 | 0.6 | -0.2 | -0.5 | 0.4 | -0.1 | 1 | -0.3 | -0.1 | 0.1 | 1 |
| 2015 | 1.1 | 0.2 | 0.9 | -0.8 | -0.7 | -0.8 | 0.7 | 0.6 | 0.2 | 0.4 | 0.7 | 0.4 | 2.9 |
| 2016 | -0.2 | -1 | 0 | 0.2 | 0.2 | 0.7 | -0.5 | -0.1 | -0.5 | 0.1 | -0.7 | 0.2 | -1.6 |
| 2017 | -0.3 | -1.1 | 0.1 | -0.4 | 0 | -0.3 | 0.3 | -0.4 | 0.1 | 0.1 | 0.7 | 0.3 | -0.8 |
| 2018 | -0.7 | 0.5 | 0.3 | -0.2 | -0.5 | -0.2 | -0.3 | -0.3 | -0.6 | 0 | 0 | 0.3 | -1.6 |
| 2019 | -0.6 | -0.5 | -0.9 | 0.2 | 0.9 | 0 | 1.2 | 0.1 | 0.1 | -0.3 | -0.2 | -0.6 | -0.6 |
| 2020 | 0.6 | 1.8 | 1.5 | 0.3 | -0.1 | -0.3 | 0.1 | 0.5 | 0 | -0.5 | -0.9 | 0.1 | 3.2 |
| 2021 | 0.1 | -0.7 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
